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Immunization Under Stochastic Models of the Term Structure
Immunization Under Stochastic Models of the Term Structure The purpose of this paper is to survey some ... concerning the term structure of interest rates and discuss actuarial applications. The term structure of interest ...- Authors: Phelim Boyle
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Modeling & Statistical Methods>Stochastic models
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The Financial Implications of Finite Ruin Theory
The Financial Implications of Finite Ruin Theory An insurance company starts with an initial surplus ... is the following year’s surplus. The process continues. This paper describes how to calculate the distribution ...- Authors: Glenn Meyers
- Date: Jan 1986
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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On The Numerical Evaluation of Survival Probabilities
On The Numerical Evaluation of Survival Probabilities This paper introduces a new direction for evaluating ... his book ‘Survival Probabilities: The goal of Risk Theory’. Some of special cases can be considered as ...- Authors: Marc Goovaerts
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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The Distribution of Aggregate Life Insurance Claims
The Distribution of Aggregate Life Insurance Claims This paper demonstrates the calculation of the moments ... moments of the distribution of aggregate life insurance claims from seriatim inforce data, assuming that ...- Authors: Thomas Edwalds
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Experience Studies & Data>Mortality; Life Insurance>Claims - Life Insurance; Modeling & Statistical Methods>Stochastic models
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A Life Contingency Approach for Physical Assets: Create Volatility to Create Value
A Life Contingency Approach for Physical Assets: Create Volatility to Create Value 2011 SOA Enterprise ... Symposium, Chicago. This paper suggests the use of a policy event-based loss estimation method using ...- Authors: Thomas Emil Wendling
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Stochastic models
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The Cost of Mismatch in Stochastic Interest Rate Models
The Cost of Mismatch in Stochastic Interest Rate Models In a stochastic world consideration of only ... be dangerous. The aim of the present research is to study the computation of the cost of mismatch using ...- Authors: Michel Jacques, JEROME ZACCARI PANSERA
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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Non-exponential Bounds on the Tails of Compound Distributions
Non-exponential Bounds on the Tails of Compound Distributions Random sum models with compound distributions ... are used extensively in modeling of insurance risks. Unfortunately, the compound distributions themselves ...- Authors: Gordon E Willmot, Xiaodong Sheldon Lin
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Credibility Using Copulas
encounter data from a cross-section of risk classes towns with a history of insurance claims available for ... class. For the marginal claims distributions, we use generalized linear models, an extension of linear regression ...- Authors: Edward Frees, PING WANG
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models
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Guaranteed Benefits in Incomplete Markets and Risk Analysis
paper presents a methodology of pricing the guaranteed minimum death benefit of a variable annuity in a market ... developments in the stock market make variable annuities very attractive products from the insured point of view ...- Authors: George N Argesanu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Applications of Multidimensional Contingency Tables to the Analysis of Termination Counts In Disability Income Claim Data
Applications of Multidimensional Contingency Tables to the Analysis of Termination Counts In Disability ... Disability Income Claim Data A contingency table is a set of counts or frequencies obtained by classifying observations ...- Authors: Edward J Seligman
- Date: Jan 1979
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability>Disability insurance; Health & Disability>Disability tables; Modeling & Statistical Methods>Stochastic models